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update Exchange

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bxdd
2021-06-04 00:55:10 +08:00
parent 4d48c96d30
commit 8aee853a11
1 changed files with 73 additions and 20 deletions
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93
qlib/backtest/exchange.py
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@@ -26,6 +26,7 @@ class Exchange:
deal_price=None, deal_price=None,
subscribe_fields=[], subscribe_fields=[],
limit_threshold=None, limit_threshold=None,
volume_threshold=None,
open_cost=0.0015, open_cost=0.0015,
close_cost=0.0025, close_cost=0.0025,
trade_unit=None, trade_unit=None,
@@ -41,6 +42,7 @@ class Exchange:
:param deal_price: str, 'close', 'open', 'vwap' :param deal_price: str, 'close', 'open', 'vwap'
:param subscribe_fields: list, subscribe fields :param subscribe_fields: list, subscribe fields
:param limit_threshold: float, 0.1 for example, default None :param limit_threshold: float, 0.1 for example, default None
:param volume_threshold: float, 0.1 for example, default None
:param open_cost: cost rate for open, default 0.0015 :param open_cost: cost rate for open, default 0.0015
:param close_cost: cost rate for close, default 0.0025 :param close_cost: cost rate for close, default 0.0025
:param trade_unit: trade unit, 100 for China A market :param trade_unit: trade unit, 100 for China A market
@@ -60,6 +62,7 @@ class Exchange:
self.freq = freq self.freq = freq
self.start_time = start_time self.start_time = start_time
self.end_time = end_time self.end_time = end_time
if trade_unit is None: if trade_unit is None:
trade_unit = C.trade_unit trade_unit = C.trade_unit
if limit_threshold is None: if limit_threshold is None:
@@ -70,7 +73,6 @@ class Exchange:
self.logger = get_module_logger("online operator", level=logging.INFO) self.logger = get_module_logger("online operator", level=logging.INFO)
self.trade_unit = trade_unit self.trade_unit = trade_unit
# TODO: the quote, trade_dates, codes are not necessray. # TODO: the quote, trade_dates, codes are not necessray.
# It is just for performance consideration. # It is just for performance consideration.
if limit_threshold is None: if limit_threshold is None:
@@ -100,7 +102,7 @@ class Exchange:
self.close_cost = close_cost self.close_cost = close_cost
self.min_cost = min_cost self.min_cost = min_cost
self.limit_threshold = limit_threshold self.limit_threshold = limit_threshold
self.volume_threshold = volume_threshold
self.extra_quote = extra_quote self.extra_quote = extra_quote
self.set_quote(codes, start_time, end_time) self.set_quote(codes, start_time, end_time)
@@ -120,14 +122,19 @@ class Exchange:
# Use adjusted price # Use adjusted price
self.trade_w_adj_price = True self.trade_w_adj_price = True
self.logger.warning("factor.day.bin file not exists or factor contains `nan`. Order using adjusted_price.") self.logger.warning("factor.day.bin file not exists or factor contains `nan`. Order using adjusted_price.")
if self.trade_unit is not None:
self.logger.warning(f"trade unit {self.trade_unit} is not supported in adjusted_price mode.")
else: else:
# The `factor.day.bin` file exists and all data `close` and `factor` are not `nan` # The `factor.day.bin` file exists and all data `close` and `factor` are not `nan`
# Use normal price # Use normal price
self.trade_w_adj_price = False self.trade_w_adj_price = False
# update limit # update limit
# check limit_threshold # check limit_threshold
if self.limit_threshold is None: if self.limit_threshold is None:
self.quote["limit"] = False self.quote["limit_buy"] = False
self.quote["limit_sell"] = False
else: else:
# set limit # set limit
self._update_limit(buy_limit=self.limit_threshold, sell_limit=self.limit_threshold) self._update_limit(buy_limit=self.limit_threshold, sell_limit=self.limit_threshold)
@@ -143,9 +150,13 @@ class Exchange:
if "$factor" not in self.extra_quote.columns: if "$factor" not in self.extra_quote.columns:
self.extra_quote["$factor"] = 1.0 self.extra_quote["$factor"] = 1.0
self.logger.warning("No $factor set for extra_quote. Use 1.0 as $factor.") self.logger.warning("No $factor set for extra_quote. Use 1.0 as $factor.")
if "limit" not in self.extra_quote.columns: if "limit_sell" not in self.extra_quote.columns:
self.extra_quote["limit"] = False self.extra_quote["limit_sell"] = False
self.logger.warning("No limit set for extra_quote. All stock will be tradable.") self.logger.warning("No limit_sell set for extra_quote. All stock will be able to be sold.")
if "limit_buy" not in self.extra_quote.columns:
self.extra_quote["limit_buy"] = False
self.logger.warning("No limit_buy set for extra_quote. All stock will be able to be bought.")
assert set(self.extra_quote.columns) == set(quote_df.columns) - {"$change"} assert set(self.extra_quote.columns) == set(quote_df.columns) - {"$change"}
quote_df = pd.concat([quote_df, self.extra_quote], sort=False, axis=0) quote_df = pd.concat([quote_df, self.extra_quote], sort=False, axis=0)
@@ -160,15 +171,30 @@ class Exchange:
self.quote = quote_dict self.quote = quote_dict
def _update_limit(self, buy_limit, sell_limit): def _update_limit(self, buy_limit, sell_limit):
self.quote["limit"] = ~self.quote["$change"].between(-sell_limit, buy_limit, inclusive=False) self.quote["limit_buy"] = ~self.quote["$change"].lt(buy_limit)
self.quote["limit_sell"] = ~self.quote["$change"].gt(-sell_limit)
def check_stock_limit(self, stock_id, start_time, end_time): def check_stock_limit(self, stock_id, start_time, end_time, direction=None):
"""Parameter
stock_id
trade_date
is limtited
""" """
return resam_ts_data(self.quote[stock_id]["limit"], start_time, end_time, method="all").iloc[0] Parameters
----------
direction : int, optional
trade direction, by default None
- if direction is None, check if tradable for buying and selling.
- if direction == Order.BUY, check the if tradable for buying
- if direction == Order.SELL, check the sell limit for selling.
"""
if direction is None:
buy_limit = resam_ts_data(self.quote[stock_id]["limit_buy"], start_time, end_time, method="all").iloc[0]
sell_limit = resam_ts_data(self.quote[stock_id]["limit_sell"], start_time, end_time, method="all").iloc[0]
return buy_limit or sell_limit
elif direction == Order.BUY:
return resam_ts_data(self.quote[stock_id]["limit_buy"], start_time, end_time, method="all").iloc[0]
elif direction == Order.SELL:
return resam_ts_data(self.quote[stock_id]["limit_sell"], start_time, end_time, method="all").iloc[0]
else:
raise ValueError(f"direction {direction} is not supported!")
def check_stock_suspended(self, stock_id, start_time, end_time): def check_stock_suspended(self, stock_id, start_time, end_time):
# is suspended # is suspended
@@ -177,11 +203,11 @@ class Exchange:
else: else:
return True return True
def is_stock_tradable(self, stock_id, start_time, end_time): def is_stock_tradable(self, stock_id, start_time, end_time, direction=None):
# check if stock can be traded # check if stock can be traded
# same as check in check_order # same as check in check_order
if self.check_stock_suspended(stock_id, start_time, end_time) or self.check_stock_limit( if self.check_stock_suspended(stock_id, start_time, end_time) or self.check_stock_limit(
stock_id, start_time, end_time stock_id, start_time, end_time, direction
): ):
return False return False
else: else:
@@ -190,7 +216,7 @@ class Exchange:
def check_order(self, order): def check_order(self, order):
# check limit and suspended # check limit and suspended
if self.check_stock_suspended(order.stock_id, order.start_time, order.end_time) or self.check_stock_limit( if self.check_stock_suspended(order.stock_id, order.start_time, order.end_time) or self.check_stock_limit(
order.stock_id, order.start_time, order.end_time order.stock_id, order.start_time, order.end_time, order.direction
): ):
return False return False
else: else:
@@ -393,7 +419,7 @@ class Exchange:
return value return value
def get_amount_of_trade_unit(self, factor): def get_amount_of_trade_unit(self, factor):
if not self.trade_w_adj_price: if not self.trade_w_adj_price and self.trade_unit is not None:
return self.trade_unit / factor return self.trade_unit / factor
else: else:
return None return None
@@ -404,11 +430,18 @@ class Exchange:
factor : float, adjusted factor factor : float, adjusted factor
return : float, real amount return : float, real amount
""" """
if not self.trade_w_adj_price: if not self.trade_w_adj_price and self.trade_unit is not None:
# the minimal amount is 1. Add 0.1 for solving precision problem. # the minimal amount is 1. Add 0.1 for solving precision problem.
return (deal_amount * factor + 0.1) // self.trade_unit * self.trade_unit / factor return (deal_amount * factor + 0.1) // self.trade_unit * self.trade_unit / factor
return deal_amount return deal_amount
def _get_amount_by_volume(self, stock_id, trade_start_time, trade_end_time, deal_amount):
if self.volume_threshold is not None:
tradable_amount = self.get_volume(stock_id, trade_start_time, trade_end_time) * self.volume_threshold
return max(min(tradable_amount, deal_amount), 0)
else:
return deal_amount
def _calc_trade_info_by_order(self, order, position): def _calc_trade_info_by_order(self, order, position):
""" """
Calculation of trade info Calculation of trade info
@@ -421,17 +454,34 @@ class Exchange:
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time) trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time)
if order.direction == Order.SELL: if order.direction == Order.SELL:
# sell # sell
current_amount = position.get_stock_amount(order.stock_id)
if position is not None: if position is not None:
if np.isclose(order.amount, position.get_stock_amount(order.stock_id)): if np.isclose(order.amount, current_amount):
# when selling last stock. The amount don't need rounding # when selling last stock. The amount don't need rounding
order.deal_amount = order.amount order.deal_amount = order.amount
elif order.amount > current_amount:
self.logger.warning(
f"order amount {order.amount} is greater than current amount {current_amount}, {current_amount} amount of stock is dealed"
)
order.deal_amount = self.round_amount_by_trade_unit(current_amount, order.factor)
else: else:
order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor) order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor)
else: else:
# TODO: We don't know current position. # TODO: We don't know current position.
# We choose to sell all # We choose to sell all
order.deal_amount = order.amount
if not np.isclose(order.amount, current_amount) and order.amount > current_amount:
self.logger.warning(
f"order amount {order.amount} is greater than current amount {current_amount}, {current_amount} amount of stock is dealed"
)
order.deal_amount = current_amount
else:
order.deal_amount = order.amount
order.deal_amount = self._get_amount_by_volume(
order.stock_id, order.start_time, order.end_time, order.deal_amount
)
trade_val = order.deal_amount * trade_price trade_val = order.deal_amount * trade_price
trade_cost = max(trade_val * self.close_cost, self.min_cost) trade_cost = max(trade_val * self.close_cost, self.min_cost)
elif order.direction == Order.BUY: elif order.direction == Order.BUY:
@@ -451,6 +501,9 @@ class Exchange:
# Unknown amount of money. Just round the amount # Unknown amount of money. Just round the amount
order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor) order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor)
order.deal_amount = self._get_amount_by_volume(
order.stock_id, order.start_time, order.end_time, order.deal_amount
)
trade_val = order.deal_amount * trade_price trade_val = order.deal_amount * trade_price
trade_cost = trade_val * self.open_cost trade_cost = trade_val * self.open_cost
else: else: